Lower classes of the Riemann-Liouville process

DOI10.1016/J.BULSCI.2008.04.004MaRDI QIDQ627702zbMATH OpenOpenAlexFDO

Authors Charles El-Nouty

Publication date 3 March 2011

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.bulsci.2008.04.004

zbMATH Keywords

lower classesnon-stationarity of incrementsRiemann-Liouville processsmall ball probabilities

Mathematics Subject Classification ID

Strong limit theorems (60F15) Gaussian processes (60G15)

Review text

Let \((R_H(t))_{t\geq 0}\) be a Riemann-Liouville process with index \(H>0\). Define its sup-norm statistic by \[ Y(t):=\sup_{0\leq s\leq t}|R_H(s)|,\quad t\geq 0. \] A function \(f\) on \([0,\infty)\) is said to belong to the lower class of \(Y\) provided there is a (random) \(t_0\geq 0\) such that \(Y(t)\geq f(t)\) whenever \(t\geq t_0\). The main aim of the present paper is to characterize functions in the lower class of \(Y\) by an integral test. In this test an (unknown) function \(\varphi\) appears defined by \[ \varphi(\varepsilon):=\mathbb P(Y(1)\leq\varepsilon),\qquad 0<\varepsilon\leq 1. \] Two-sided estimates for \(\varphi\) are known from previous work due to \textit{M. Lifshits} and \textit{T. Simon} [Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 4, 725--752 (2005; Zbl 1070.60042)].

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Cites work

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• Lower classes of integrated fractional Brownian motion
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Cited in

(4)

• Lower functions and Chung's LILs of the generalized fractional Brownian motion
• The Lower Classes of the Sub-Fractional Brownian Motion
• Lower classes of integrated fractional Brownian motion
• Lower classes and Chung's LILs of the fractional integrated generalized fractional Brownian motion

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